More precisely, this is a mechanical system traders forum, as it says at the top of the page. Plenty of mechanical systems operate on principles other than "trend following" -- such as mean reversion, pattern matching, good old support+resistance, and the darling of the Wealth-Lab website, "dip buying".

As for gold, it would be hard to find a "trend following" mechanical system that isn't long gold right about now ... chart below. (The chart shows raw contract prices, i.e., it is neither a continuous contract nor a backadjusted series. It's what CSI calls "Nth Nearest" using N=1.)

sluggo wrote:Plenty of mechanical systems operate on principles other than "trend following" -- such as mean reversion, pattern matching, good old support+resistance, and the darling of the Wealth-Lab website, "dip buying".

That said, the trend is up and I will probably be in again soon enough.

More or less related question: I am experimenting with the Mama Fama as my primary trend indicator/filter using both weekly and daily input and fine-tuning with a couple of classic secondary indicators for entries (not in trading blox as I can't program for s**t, unfortunately). Seems to work reasonably well and be worthy of some more research. But has anyone found the MF crossover to be distinctly better than EMAs to define trend? The research I have found so far seems to indicate that it is only marginally better than EMAS (S&C article).

I never understood why people bother to distinguish between different types of moving averages, in the context of building systems which should be stable over decades. If the system is robust and uses one of them, it should work with any of them. If it only works with one and not the other, I would be suspicious. In this case I would try to find out, what this MA actually measures/captures, because it can't be what all the other MAs measure/capture.

The only differences I see are technical points, like ease of calculation, priming requirements, performance.

Often I prefer EMA to SMA because the SMA counts every data point TWICE - once when it enters the average and once when it leaves - so the EMA presents a smoother graph and potentially fewer whipsaws.

However, when I was adapting a "time stop" system from different periods, i.e. check for these conditions once a month, make moves, check back next month, moving that to be able to check daily - I found that using the SMA more accurately reflected the performance (which issues I was in, turnover frequency, etc.) of the longer-period system on my data.

That said, using different types of MA as well as different lengths can also be a good check for the robustness of the parameters!

For example, if my system optimizes at 50 SMA and 200 SMA parameters, I should check different short and long averages around the range in both types, i.e. 40-60 SMA and EMA and 160-240 SMA and EMA. If the system is robust I should get a smooth, gradually changing result around my optimum choices. If the system isn't robust, then small changes from optimum would mean big changes in results.